Hi Marco,
I am trying to factorize the mode-finding code to make it reusable in other parts of Dynare. But I am having a hard time with newrat in master. The reason is that newrat is the only optimizer that endogenously changes other options used inside of the objective function. I would really like to get rid of this behavior as it makes the generic passing of input arguments to objective functions impossible. One always needs to make sure that the updated options is passed.
To be specific, the problem in master derives from the fact that the analytic Hessian requires options_.kalman_algo to be either 2 or 4. If this is not the case, newrat sets one of these values. My proposal to remedy this would be to only allow using newrat without options_.analytic_derivation when kalman_algo=2 or kalman_algo=4. That is, when not using analytical derivatives the user must at least specify a Kalman algo that allows for analytical derivatives. Such a check would make changing the options redundant. Or do you envision cases where people want an analytical Hessian based univariate filters while wanting to compute the likelihood in mode-finding based numerical derivatives derived from the multivariate Kalman filter.
An additional issue that popped up: currently, newrat with analytical_derivation seems to be broken for most Kalman algorithms. Thus, I cannot test the features/changes I propose. I created a pull request with a unit test for these issues. I attach the files you need to trace out the errors.
Best,
Johannes